Gensokyo (幻想郷, literally Illusion Village or Fantasy Village) is the world of Touhou, which vaguely resembles ancient Japan with a lot of fairy-tale elements added on.
It was sealed away from this world ages ago, and there has been little contact between our societies ever since. The only known gateway between Gensokyo and this world is the Hakurei Shrine, which stands in isolation on distant mountains of the far east.
Gensokyo is populated mainly by youkai, but a few humans live there as well. Some of its inhabitants went there to hide, to escape, to find shelter when no one and nowhere else would accept them. Many of them just like the natural darkness.